The magnitude of mutual funds’ business ties with their portfolio firms is documented and is linked to funds’ proxy votes at specific firms and to overall voting practices. Aggregate votes at the fund family level indicate a positive relation between business ties and the propensity to vote with management. Votes at specific firms, however, reveal that funds are no more likely to vote with mana...

We analyze the risk, return and cash flow characteristics of infrastructure investments by using a unique dataset of deals done by private-equity-like investment funds. We show that infrastructure deals have a performance that is higher than that of non-infrastructure deals, despite lower default frequencies. However, we do not find that infrastructure deals offer more stable cash flows. Our pa...

This study examines the incentives in fund management due to the adoption of speci…c performance measures. A mean-variance measure such as Jensen’s alpha incentivizes fund managers to load negative coskewness risk. This risk is shown to be priced in the UK stock market during the period January 1991December 2005, bearing a premium of 2.09% p.a. Hence, a new performance measure, the intercept of...

This paper shows how a mean variance criterion can be applied to a multi period setting in order to obtain efficient portfolios in an asset and liability context. The optimization model allows for rebalancing activities, transaction costs, stochastic volatilities for both assets and liabilities. Furthermore, a general framework for the projection of pension fund liabilities as well as for the g...

This paper utilises the non-parametric frontier approach, DEA, to analyse the technical and scale efficiency in Japanese banking using a recent cross –section sample. Efficiency analysis is conducted across individual banks, bank types and bank size groups. Following Berger and Humphrey (1997), problem loans are controlled for as an exogenous influence on bank efficiency. Powerful size-efficien...

I evaluate the economic consequences of advisory misconduct by estimating the effect of publicly disclosed regulatory actions of mutual fund advisors on fund flows. Based on misconduct events from 2000-2013, I find a 5% reduction in fund flows to malfeasant advisors in one year following the misconduct. Further analysis using the 2001 SEC electronic filing mandate as a positive shock to miscond...

This paper uses unique NYSE audit trail data to evaluate spreads and information content for different order types. Actual spreads are positive for liquidity-demanding orders and negative for liquidity-supplying orders after controlling for order direction. However, because a large fraction of liquidity-demanding orders get price improvement, the actual spread for liquidity-demanding orders is ...

Global Pension Systems and Their Reform: Worldwide Drivers, Trends, and Challenges Across the world, pension systems and their reforms are in a constant state of flux driven by shifting objectives, moving reform needs, and a changing enabling environment. The ongoing worldwide financial crisis and the adjustment to an uncertain “new normal” will make future pension systems different from past o...

We estimate investment style dispersions for individual actively managed equity mutual funds, which describe how widely fund investments are distributed around the core fund style along the dimensions of size, book-to-market, and momentum, respectively. We find that high style dispersions, especially that along the size dimension, are associated with superior fund performance, consistent with h...

This paper examines the interaction of idiosyncratic risk, liquidity and return across time in determining fund performance, as well as across investment style portfolios of European mutual funds. This study utilizes a unique data set including returns for equity mutual funds registered in six European countries. Overall, using monthly data, we find that both liquidity and idiosyncratic risk ar...